On the multivariate upcrossings index

DOI10.1080/03610926.2012.661507MaRDI QIDQ5419367zbMATH OpenOpenAlexFDO

Authors Clara Viseu, Luisa Pereira, Ana Paula Martins, Helena Ferreira

Publication date 6 June 2014

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.1596

zbMATH Keywords

stationaritylocal dependence conditionsmultivariate extremal indexmultivariate upcrossings indexpoint processes of upcrossings

Mathematics Subject Classification ID

Multivariate analysis (62H99) Extreme value theory; extremal stochastic processes (60G70)

Abstract: The notion of multivariate upcrossings index of a stationary sequence $$ is introduced and its main properties are derived, namely the relations with the multivariate extremal index and the clustering of upcrossings. Under asymptotic independence conditions on the marginal sequences of $$ the multivariate upcrossings index is obtained from the marginal upcrossings indices. For a class of stationary multidimensional sequences assumed to satisfy a mild oscillation restriction, the multivariate upcrossings index is computed from the joint distribution of a finite number of variables. The upcrossings index is calculated for two examples of bivariate sequences.

Recommendations

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Cites work

• Extreme value theory for multivariate stationary sequences
• Limit laws for the maximum and minimum of stationary sequences
• Multivariate extreme values in \(T\)-periodic random sequences under mild oscillation restrictions
• Multivariate extreme values in stationary random sequences
• On the exceedance point process for a stationary sequence
• On the multivariate extremal index
• The upcrossings index and the extremal index

Cited in

(7)

• The upcrossings index and the extremal index
• Methods for estimating the upcrossings index: improvements and comparison
• On extremal dependence: some contributions
• Clustering of upcrossings of high values
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Estimating the upcrossings index
• Estimating the multivariate extremal index function

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